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Moment Determinacy of Powers and Products of Nonnegative Random Variables

Lookup NU author(s): Dr Jordan Stoyanov

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Abstract

We find conditions which guarantee moment (in)determinacy of powers and products of nonnegative random variables. We establish new and general results which are based either on the rate of growth of the moments of a random variable or on conditions about the distribution itself. For the class of generalized gamma random variables, we show that the power and the product of such variables share the same moment determinacy property. A similar statement holds for half-logistic random variables. Besides answering new questions in this area, we either extend some previously known results or provide new and transparent proofs of existing results.


Publication metadata

Author(s): Lin GD, Stoyanov J

Publication type: Article

Publication status: Published

Journal: Journal of Theoretical Probability

Year: 2015

Volume: 28

Issue: 4

Pages: 1337-1353

Print publication date: 01/12/2015

Online publication date: 25/03/2014

Acceptance date: 01/01/1900

Date deposited: 14/08/2017

ISSN (print): 0894-9840

ISSN (electronic): 1572-9230

Publisher: Springer

URL: http://dx.doi.org/10.1007/s10959-014-0546-z

DOI: 10.1007/s10959-014-0546-z


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Funding

Funder referenceFunder name
Emeritus Fellowship by Leverhulme Trust (UK)
NSC 102-2118-M-001-008-MY2National Science Council of ROC (Taiwan)

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